Dynamic persistence of primary commodity prices

Atanu Ghoshray

Research output: Contribution to journalArticle

5 Citations (Scopus)

Abstract

This article examines the persistence of shocks to international commodity prices from 1900 to 2008 using the updated Grilli Yang Index. The main innovation of this study is that it determines whether commodity prices are characterized by multiple changes in persistence. Specifically, bootstrap methods are used to estimate persistence, and the associated half-life shocks are calculated. We find that the persistence of shocks can vary widely depending on the individual commodity and the time period. The results suggest that policy-makers need to exercise caution when introducing measures to cushion the effect of shocks to world commodity prices.
Original languageEnglish
Pages (from-to)153-164
Number of pages12
JournalAmerican Journal of Agricultural Economics
Volume95
Issue number1
DOIs
Publication statusPublished - Jan 2013

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